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Small Sample Properties of Alternative Forms of the Lagrange Multiplier Test

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Author Info
Russell Davidson
James G. MacKinnon

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Abstract

This paper investigates the small-sample properties of several forms of the Lagrange Multiplier test. We find that alternative variants of the LM test, which can be easily computed from artificial linear regressions, perform very differently in small samples. One variant appears to be acceptably close to its asymptotic distribution; the other can yield quite misleading inferences. These results suggest that care should be taken when choosing which form of LM test to use in applied work.

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Paper provided by Queen's University, Department of Economics in its series Working Papers with number 439.

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Length: 30
Date of creation: 1981
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Publication status: Published in Economics Letters, 12, 1983
Handle: RePEc:qed:wpaper:439

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  1. N.E. Savin & Allan H. Wuertz, . "The Effect of Nuisance Parameters on Size and Power; LM Tests in Logit Models," Economics Working Papers 1997-17, School of Economics and Management, University of Aarhus. [Downloadable!]
  2. Z. L. Yang Y. K. Tse, 2004. "Tests of Functional Form and Heteroscedasticity," Econometric Society 2004 Australasian Meetings 302, Econometric Society. [Downloadable!]
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  3. Francisco Javier Mencía & Enrique Sentana, 2004. "Estimation And Testing Of Dynamic Models With Generalised Hyperbolic Innovations," Working Papers wp2004_0411, CEMFI. [Downloadable!]
    Other versions:
  4. Gabriele Fiorentini & Enrique Sentana & Giorgio Calzolari, 2000. "The Score Of Conditionally Heteroskedastic Dynamic Regression Models With Student T Innovations, An Lm Test For Multivariate Normality," Working Papers. Serie AD 2000-33, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
  5. Kenneth G. Stewart, 1998. "Gauss-Newton, Milliken-Graybill, and Exact Misspecification Testing Using Artificial Regressions," Econometrics Working Papers 9811, Department of Economics, University of Victoria. [Downloadable!]
  6. Teresa Aparicio & Inmaculada Villanúa, 2007. "Some selection criteria for nested binary choice models: a comparative study," Computational Statistics, Springer, vol. 22(4), pages 635-660, December. [Downloadable!] (restricted)
  7. Russell Davidson & James G. MacKinnon, 1987. "Testing for Consistency using Artificial Regressions," Working Papers 687, Queen's University, Department of Economics. [Downloadable!]
  8. Russell Davidson & James G. MacKinnon, 1987. "Double-Length Artificial Regressions," Working Papers 691, Queen's University, Department of Economics. [Downloadable!]
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  9. Dirk Hoorelbeke, 2004. "Bootstrap correcting the score test," Econometric Society 2004 North American Summer Meetings 228, Econometric Society. [Downloadable!]
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